United States (US)
Traders flee Vix futures
Short interest of asset managers down 80% on 12-month peak
ABN winds down Ronin books after Vix losses
$200m loss suffered by bank’s clearing business is thought to be mystery second default
As Covid snaps credit models, lenders turn to stress-testing
Banks enlist scenario analysis to bolster creaking default models
Fed defies coronavirus to push ahead with stress test
US diverges from Europe and forces banks to juggle CCAR with real-life operational burden
Hedge funds cut short US Treasury futures exposure – CFTC data
Short open interest held by leveraged participants down 23% from 12-month peak
Bankers say discount window is imperfect fix for UST woes
Further changes advocated to ensure Treasuries are used in US bank liquidity buffers
Rate volatility highlights benchmark flaws
Libor and SOFR in spotlight following market rout, as both decouple from commercial paper
Swaps benchmark vanishes as traders flee firm price venues
Dollar Ice swap rate fails to publish in March rout; patchy Sonia Clob prices could delay term rates
Exchange shutdowns could trigger derivatives unwinds
Eight-day closure would invoke subjective valuation clauses; hedge disruption could cancel trades
Coronavirus rout revives attacks on futures margining
FCMs call for permanently higher margins following “unprecedented” number of breaches
Top US banks’ buyback freeze to bolster capital above $30bn
Suspension will save the equivalent of 4% of aggregate CET1
CECL muddies stress tests for US banks
Accounting forecasts differ from Fed’s CCAR scenarios; banks seek middle way to avoid upfront capital hit
Lighting up the black box: a must for investors?
Many contend you must be able to interpret machine learning in order to use it
Systemic US banks shed more than $7trn of non-cleared swaps in 2019
Cleared notionals stay flat on the year
US G-Sibs urged to release surplus liquidity to fight virus sell-off
Top banks have about $378 billion of extra HQLA that could be released
The Fed’s stress capital buffer: relaxed but not relaxing
Bankers welcome key methodology improvement, but final rule could still curb dividends
Systemic banks could free $156bn of capital after Fed plea
Banks asked to use management buffers to support economy in combating coronavirus
US banks’ systemic footprints grew in 2019
Balance sheet growth lifts systemic risk scores
iTraxx volumes spike amid market panic
Volumes of Ice-cleared index contracts more than four times higher than average
US Treasury market holds its breath after high drama
Intermediation broke down after off-the-run bonds were dumped on banks
Aggregate LCR of systemic US banks edged lower in 2019
Net cash outflows increased at a faster pace than HQLA last year
Oil futures and options see record volumes
Brent crude contract traded volumes hit 3.4 million on March 9
Equity, Treasury collateral builds up at US G-Sibs
Fair value of equity collateral rises 19% year-on-year
Over two years, top US banks’ capital fell 5%
Stress capital buffer could reduce CET1 a further $40 billion